Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0014 |
| Annualized Std Dev | 0.1521 |
| Annualized Sharpe (Rf=0%) | -0.0094 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1738 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1452 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0096 |
| Skewness | -0.4208 |
| Kurtosis | 41.4244 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0069 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.4781 |
| Historical VaR (95%) | -0.0133 |
| Historical ES (95%) | -0.0223 |
| Modified VaR (95%) | -0.0088 |
| Modified ES (95%) | -0.0088 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-26 | 2008-11-21 | 2012-05-02 | -0.4781 | 2041 | 1175 | 866 |
| 2013-05-30 | 2020-03-18 | NA | -0.3947 | 1967 | 1713 | NA |
| 1999-02-09 | 2000-05-09 | 2004-03-16 | -0.2296 | 1281 | 316 | 965 |
| 2012-10-01 | 2012-11-15 | 2013-01-24 | -0.1275 | 78 | 32 | 46 |
| 2013-01-25 | 2013-03-25 | 2013-05-10 | -0.0932 | 74 | 41 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -1.6 | 0.4 | -1.7 | 0 | -0.9 | -0.5 | 0.4 | -1.4 | 0 | 0.9 | -0.5 | 1.5 | -3.1 |
| 2000 | -2.4 | -1.4 | 1 | 0.5 | 1.9 | 0.5 | -0.5 | 0 | -0.5 | -0.4 | 0.9 | 0.4 | -0.1 |
| 2001 | 2.1 | -0.3 | 0.3 | 0.5 | 0.5 | 1.1 | 0.8 | -0.7 | 1.7 | -0.1 | 0.7 | 1.2 | 8.1 |
| 2002 | 0.7 | 1 | -0.8 | 0.7 | -0.5 | 0 | -0.8 | 0.3 | -0.5 | -0.3 | -0.1 | -0.3 | -0.7 |
| 2003 | -0.1 | 0.5 | 0.7 | 0.5 | 0.8 | -0.3 | -0.8 | -0.3 | 0.8 | 0 | 0.2 | 0.2 | 2.2 |
| 2004 | 0 | 0.5 | -0.2 | 0 | -0.9 | 0.5 | -0.1 | 0.1 | 0.1 | 0.2 | 0.3 | 0 | 0.4 |
| 2005 | -0.8 | 0.8 | 0.1 | 0.3 | 1.3 | 0.7 | -0.6 | 0 | -1.5 | -1.2 | -0.4 | 1.6 | 0 |
| 2006 | 0.3 | 0.7 | 0.2 | -0.5 | -0.3 | -0.5 | -0.2 | 0.1 | 0.1 | 0.1 | 0.7 | 0.3 | 1.2 |
| 2007 | 0.3 | -0.1 | 0.3 | 0.5 | 0.4 | 0.4 | -0.3 | 0 | 0.2 | -0.7 | 1.2 | 0.2 | 2.4 |
| 2008 | -0.3 | 0.8 | -0.4 | -0.7 | -0.1 | -1.2 | 1.2 | 0.1 | 11.3 | 1.3 | -2.1 | -1.4 | 8.3 |
| 2009 | 3.1 | -3.1 | -1.6 | 2.6 | 1.6 | 3.7 | 1.8 | 0 | -0.4 | -1 | 0.6 | -0.4 | 6.9 |
| 2010 | -0.6 | 0.8 | 0.6 | -0.2 | 0.7 | -0.6 | 0 | -0.1 | 0.5 | 0.4 | -0.1 | 2.4 | 3.9 |
| 2011 | 0.3 | 0.1 | 0.7 | 0.7 | 0.6 | 0.6 | 4.2 | 1 | -0.1 | -0.1 | -1.1 | 0.3 | 7.5 |
| 2012 | 1.3 | 1.9 | 0.5 | 0.6 | -0.3 | -0.6 | 0.7 | 0 | -1.3 | 0.7 | -0.9 | 1.1 | 3.7 |
| 2013 | -1.3 | 0.4 | -0.1 | 0.6 | -2.9 | 0.1 | 1.5 | 0.6 | -1.1 | 0.3 | 0.1 | -0.9 | -2.8 |
| 2014 | 0.4 | -0.1 | -0.3 | 0.7 | -0.3 | 0.2 | 0.2 | -0.1 | 0.6 | -0.3 | -0.3 | 0.3 | 1 |
| 2015 | 0.4 | 0.2 | 1 | -0.2 | 0.1 | -0.1 | 0.4 | 1.1 | 1.5 | -0.1 | 0.3 | 0.4 | 5.1 |
| 2016 | 0.2 | -0.1 | 1.6 | 1 | 0.1 | 0.2 | 0 | 0.1 | 1.4 | -0.4 | -0.4 | 0.5 | 4.4 |
| 2017 | 0.6 | -0.6 | 0.2 | 0.4 | 0.1 | -0.5 | -0.5 | -0.1 | 0.2 | 0.3 | -0.1 | 0.2 | 0.2 |
| 2018 | 0.1 | -0.1 | -0.4 | 0.2 | -0.3 | 0.7 | 0.3 | -0.9 | 0.3 | 0.4 | -0.1 | -0.3 | -0.1 |
| 2019 | 0.6 | 0.9 | 0.3 | -0.1 | -0.1 | 0.3 | 0.4 | -0.1 | 0.4 | -0.1 | 0.6 | 1.5 | 4.8 |
| 2020 | -0.2 | -1 | -1.1 | 0.1 | -0.3 | 0.7 | -0.1 | 1 | 0.1 | -0.5 | 0.5 | 0.3 | -0.7 |
| 2021 | 0.3 | 1 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
